98-017/2 - Value-at-Risk and Extreme Returns

• Authors
  Jón Daníelsson, London School of Economics, University of Iceland; Casper G. de Vries, Erasmus University Rotterdam
• Publication date
  February 16, 1998

• Keywords
  Value-at-Risk; Extreme Value Theory; RiskMetrics; Historical Simulation; Tail Density Estimation; Financial Regulation